Arbitrage-free DTSMs with unspanned latent risks, estimated via SMC, show that these factors improve out-of-sample bond return forecasts and deliver economic utility gains over yield-curve benchmarks.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
stat.AP 1years
2022 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Dynamic Inference in Term Structure Models with Unspanned Latent Risks
Arbitrage-free DTSMs with unspanned latent risks, estimated via SMC, show that these factors improve out-of-sample bond return forecasts and deliver economic utility gains over yield-curve benchmarks.